Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1782
Annualized Std Dev 0.2943
Annualized Sharpe (Rf=0%) -0.6053

Row

Daily Return Statistics

Close
Observations 3243.0000
NAs 1.0000
Minimum -0.1295
Quartile 1 -0.0114
Median -0.0013
Arithmetic Mean -0.0006
Geometric Mean -0.0008
Quartile 3 0.0105
Maximum 0.1288
SE Mean 0.0003
LCL Mean (0.95) -0.0012
UCL Mean (0.95) 0.0000
Variance 0.0003
Stdev 0.0185
Skewness -0.1004
Kurtosis 3.2880

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0121
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0185
Downside Deviation (Rf=0%) 0.0135
Downside Deviation (0%) 0.0135
Maximum Drawdown 0.9517
Historical VaR (95%) -0.0289
Historical ES (95%) -0.0419
Modified VaR (95%) -0.0304
Modified ES (95%) -0.0468
From Trough To Depth Length To Trough Recovery
2008-06-16 2020-08-04 NA -0.9517 3214 3056 NA
2008-05-30 2008-06-03 2008-06-12 -0.0364 10 3 7
2008-05-07 2008-05-09 2008-05-28 -0.0362 15 3 12
2008-05-05 2008-05-05 2008-05-06 -0.0001 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA -1.2 0.9 -0.2 0.9 -2.2 2.1 -6.9 5.2 -1.8
2009 0 1.2 -1.9 1.8 5.5 0.3 -3.5 0.5 -2.8 -2.9 2.3 0.8 0.9
2010 1.5 -0.1 0.5 -2.3 -1.7 -0.3 -3 4 0.9 0.7 4.2 -2.1 1.9
2011 0.9 -0.6 -0.9 -0.6 -2.8 0.3 -2.1 -3.9 -4.8 -6.7 0.9 -0.6 -19.2
2012 2.2 1.9 3.3 1 -4.6 2.6 0.9 -2.7 -0.8 1.2 0.5 3.6 9
2013 2.5 -0.9 -1.4 -2.1 0.7 -0.3 3.8 0.2 0.5 2 -0.2 1.1 5.8
2014 -1.2 -0.2 1.8 -2 0.1 1.7 -1.5 -0.1 -3.9 0.5 1.1 -0.6 -4.3
2015 -3.5 -1.7 -2.6 2.8 2 2.8 -1.6 -1.3 -0.9 -1.3 -2.5 -0.9 -8.6
2016 0.6 3.2 -0.7 -0.6 -0.7 -2.9 2 -0.3 1.7 0.1 1.9 -0.4 3.8
2017 1.1 3.5 -0.7 1.6 0.1 0.5 -1.5 1.6 -0.4 -0.9 -2.7 -0.3 1.8
2018 3 -1.4 -1.1 0.7 1.1 0.7 1.6 0.4 1.4 -0.2 -0.8 -0.7 4.7
2019 1.2 1.9 2.9 -0.9 -2.5 0.4 -3.8 0 -0.7 0.6 0.3 1.9 1.2
2020 -1.7 -4.5 -2.2 -1.3 1.1 0.3 0.1 -2.4 -0.3 1.8 2.8 -0.3 -6.6
2021 -0.1 3.1 -1.1 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-05-01  276  SPY    141.  0.0207    0.0202   0.0323   0.0273  -0.0563    0.219    0.535 GLD    84.0 -0.0307 -0.037  
2 2008-05-02  282. SPY    142.  0.0028    0.0137   0.0326   0.0138  -0.0588    0.216    0.540 GLD    84.6  0.007  -0.0308 
3 2008-05-05  282. SPY    141. -0.00480   0.0086   0.0288   0.0218  -0.0669    0.208    0.511 GLD    86.3  0.02   -0.0162 
4 2008-05-06  287  SPY    142.  0.0087    0.0214   0.0372   0.059   -0.059     0.209    0.527 GLD    86.6  0.0042  0.00960
5 2008-05-07  284. SPY    140. -0.0178    0.0091   0.0197   0.0486  -0.0745    0.188    0.486 GLD    85.8 -0.0094 -0.00960
6 2008-05-08  279. SPY    139. -0.0026   -0.0139   0.0245   0.0391  -0.0794    0.188    0.490 GLD    87.2  0.0165  0.0387 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart